Determinants of carry trades in Central and Eastern Europe

Andreas Hoffmann

In this paper, I analyze determinants of carry trade returns in Central and Eastern Europe (CEE). I show that carry trades to CEE were lucrative due to interest rate spreads between the funding and investment currency from 2004 to 2006. They became unprofitable when liquidity risk and exchange rate volatility increased after 2007. The analysis suggests that the exchange rate regime of the CEE economy matters for carry trade returns. Overall, exchange rate stabilization, particularly via managed floats, seems to allow for the highest profit opportunities. -- Carry trades ; emerging markets ; exchange rates

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Year of publication:	2011
Authors:	Hoffmann, Andreas
Publisher:	Leipzig : Univ., Wirtschaftswissenschaftliche Fakultät
Subject:	Devisenmarkt \| Foreign exchange market \| Zinsparität \| Interest rate parity \| Währungsspekulation \| Currency speculation \| Kapitaleinkommen \| Capital income \| Wechselkurssystem \| Exchange rate regime \| Osteuropa \| Eastern Europe \| 1999-2009

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Extent:	Online-Ressource (PDF-Datei: 27 S., 276,33 KB) graph. Darst.
Series:	Arbeitspapiere der Wirtschaftswissenschaftlichen Fakultät. - Leipzig : [Verlag nicht ermittelbar], ISSN 1437-9384, ZDB-ID 2488843-6. - Vol. 102
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzung: Acrobat Reader
Other identifiers:	hdl:10419/55536 [Handle]
Classification:	E32 - Business Fluctuations; Cycles ; E44 - Financial Markets and the Macroeconomy ; F31 - Foreign Exchange ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009492096